452 2019 Universal registration document and annual financial report - BNP PARIBAS
5 risks and CaPital adequaCy Pillar 3
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Appendix 3: Countercyclical capital buffer
Appendix 3: Countercyclical capital buffer
The calculation and the amount of the BNP Paribas countercyclical capital buffer are given in the tables below, according to the instructions of the Commission Delegated Regulation (EU) No. 2015/1555 of 28 May 2015.
➤ AMOUNT OF INSTITUTION-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER
In millions of euros 31 December 2019
010 Total risk-weighted assets 668,828
020 BNP Paribas countercyclical capital buffer rate 0.17%
030 Countercyclical capital buffer requirement 1,115
At 31 December 2019, the BNP Paribas countercyclical capital buffer rate is 0.17%.
The countercyclical capital buffer is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the Group are located. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements relating to relevant credit exposures in the territory in question.
At 30 June 2020, as a result of the increase to 0.50% of the interest rate applicable in France (+8 basis points), the Group s countercyclical capital buffer rate could increase to 0.25%. This rate could reach 0.35% at 31 December 2020, due mainly to the interest rate increase applicable in the United Kingdom (+4 basis points) and the activations of interest rates in Belgium (+4 basis points) and Germany (+1 basis point). Finally, the interest rate increase applicable in Luxembourg (+1 basis point) could raise this rate to 0.36% on 1 January 2021.
